Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0132 |
| Annualized Std Dev | 0.2357 |
| Annualized Sharpe (Rf=0%) | 0.0560 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5192.0000 |
| NAs | 1.0000 |
| Minimum | -0.1135 |
| Quartile 1 | -0.0061 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0073 |
| Maximum | 0.1375 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0148 |
| Skewness | -0.2759 |
| Kurtosis | 9.1901 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0108 |
| Gain Deviation | 0.0103 |
| Loss Deviation | 0.0118 |
| Downside Deviation (MAR=210%) | 0.0154 |
| Downside Deviation (Rf=0%) | 0.0108 |
| Downside Deviation (0%) | 0.0108 |
| Maximum Drawdown | 0.6562 |
| Historical VaR (95%) | -0.0226 |
| Historical ES (95%) | -0.0364 |
| Modified VaR (95%) | -0.0226 |
| Modified ES (95%) | -0.0397 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | NA | -0.6562 | 3369 | 339 | NA |
| 2000-09-05 | 2003-03-12 | 2005-08-11 | -0.5022 | 1240 | 630 | 610 |
| 2006-05-10 | 2006-06-13 | 2006-09-27 | -0.1360 | 98 | 24 | 74 |
| 2007-07-13 | 2007-08-16 | 2007-10-11 | -0.1252 | 64 | 25 | 39 |
| 2007-02-27 | 2007-03-05 | 2007-04-03 | -0.0851 | 26 | 5 | 21 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | NA | -1.4 | 2.1 | -0.6 | 1.6 | 1.3 | 0.9 | 3.9 |
| 2001 | 0 | 0.3 | 1.4 | 0.1 | -1.4 | 1.1 | 0.2 | 0.6 | -1 | 2.2 | -0.1 | -0.1 | 3.4 |
| 2002 | 0.2 | 1 | 1.3 | 0.7 | -1 | 0.1 | -5.4 | -0.2 | 2.5 | 0.6 | 0.4 | 1 | 1 |
| 2003 | 2.2 | 1.5 | 2 | -0.8 | 0.5 | -0.2 | -0.3 | -1.8 | 3 | -0.2 | 2.4 | 0.5 | 9.2 |
| 2004 | -0.5 | 1.1 | 1.1 | -0.1 | 0.2 | -1.3 | 0 | -0.2 | 1.5 | 0.3 | 1.8 | -0.4 | 3.5 |
| 2005 | 1 | 0.6 | -0.5 | 1.7 | 0.3 | 0.1 | 1.2 | 1 | -0.3 | 0.5 | 1.7 | -0.5 | 7 |
| 2006 | 0.5 | 0.9 | -0.7 | -0.4 | 0.8 | 1.1 | -0.5 | 0.5 | -0.3 | -0.1 | -0.4 | 0.1 | 1.4 |
| 2007 | 0.8 | -1.3 | 0.3 | 0 | 0.9 | 0.6 | -0.1 | 1.7 | 1 | -2.4 | 0.4 | -1.2 | 0.6 |
| 2008 | 1.4 | -2.5 | 3.2 | 0.7 | 0.2 | -0.9 | -1.3 | -0.6 | -0.1 | 1.3 | -8.8 | 1.1 | -6.6 |
| 2009 | -0.7 | -0.7 | 2.3 | 1.2 | 2.8 | 1.5 | 1.7 | -2.8 | -3 | -3.6 | 2.2 | -0.9 | -0.1 |
| 2010 | 2 | 0.2 | 1.6 | -1.6 | -1.2 | 1.7 | -0.2 | 3.9 | 1.1 | -0.6 | 3.2 | 0.7 | 11.2 |
| 2011 | 2.5 | -1.6 | 1.2 | 0.4 | -2.8 | 0.9 | -1.6 | -1 | -3.7 | -4.2 | -0.6 | 0.5 | -9.8 |
| 2012 | 2.1 | 1.4 | 1 | 0.8 | -2.1 | 4.2 | 0.1 | 0.9 | 0.9 | 1.2 | 0.1 | 1.7 | 12.9 |
| 2013 | 1 | -0.5 | -0.5 | -0.6 | -2.1 | 1.2 | 1 | -1.1 | 0.8 | -0.6 | 0.3 | 0.4 | -0.6 |
| 2014 | -1.4 | 0.3 | 0.7 | 0.2 | 0.1 | 0.9 | -0.8 | 0 | -1.3 | 1.2 | -0.1 | -0.7 | -0.9 |
| 2015 | -1.6 | 0.2 | 0.9 | 0.8 | -0.7 | 0.5 | 0.6 | -2.9 | 0 | -0.1 | 0.7 | -1.5 | -3 |
| 2016 | -0.2 | 2.7 | -0.9 | -0.2 | -0.1 | 0 | -1.1 | 0.6 | 1.1 | -0.4 | -0.1 | 0.6 | 1.8 |
| 2017 | 0.3 | 1.2 | 0.2 | 0.4 | 0.6 | 0 | 0.5 | 0.2 | 0.8 | -0.1 | -0.4 | 0 | 3.8 |
| 2018 | 0.2 | -1.1 | 0.8 | -0.5 | 0.8 | 1.1 | -0.8 | -1.1 | 0 | 1.6 | -0.6 | 0.3 | 0.6 |
| 2019 | 0.1 | 0.6 | 1.2 | -0.8 | -0.9 | 0.3 | -0.4 | 0.4 | -1.1 | 0.7 | -0.6 | 0.6 | 0.2 |
| 2020 | -1.6 | -0.8 | -4.7 | -2.1 | 2.2 | 0.8 | -2.1 | -0.1 | 0.7 | -0.4 | 2.5 | -1.1 | -6.6 |
| 2021 | 1.4 | 1.7 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-07-28 38.3 SPY 142. -0.0226 -0.0379 -0.0238 -0.0207 0.0704 NA NA <NA> NA NA NA
2 2000-07-31 39.0 SPY 143. 0.0057 -0.0268 -0.0089 -0.0283 0.074 NA NA <NA> NA NA NA
3 2000-08-01 38.5 SPY 144. 0.0068 -0.0233 -0.0097 -0.0017 0.0864 NA NA <NA> NA NA NA
4 2000-08-02 38.5 SPY 145. 0.005 -0.0088 -0.0182 0.021 0.107 NA NA <NA> NA NA NA
5 2000-08-03 37.9 SPY 146. 0.0069 0.0015 0.0067 0.0267 0.105 NA NA <NA> NA NA NA
6 2000-08-04 38.1 SPY 146. 0.0054 0.0301 0.0043 0.0198 0.123 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
